Large deviations for light-tailed Lévy bridges on short time scales

Michael A. Högele, Torsten Wetzel

Let $L=(L(t){)}_{t\ge 0}$ be a multivariate Lévy process with Lévy measure $\hat{I}½(dy)=\exp (-f(|y|))dy$ for a smoothly regularly varying function $f$ of index $\hat{I}\pm >1$. The process…